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Chapter 16 of Deathly Hallows give us this nice little touch, showing that Harry believes his parents to be well and truly gone:

But they were not living, thought Harry: They were gone. The empty words could not disguise the fact that his parents’ moldering remains lay beneath snow and stone, indifferent, unknowing. And tears came before he could stop them, boiling hot then instantly freezing on his face, and what was the point in wiping them off or pretending? He let them fall, his lips pressed hard together, looking down at the thick snow hiding from his eyes the place where the last of Lily and James lay, bones now, surely, or dust, not knowing or caring that their living son stood so near, his heart still beating, alive because of their sacrifice and close to wishing, at this moment, that he was sleeping under the snow with them.

This is all well and good, but how can Harry possibly believe this? He's seen their souls.

The smoky shadow of a young woman with long hair fell to the ground as Bertha had done, straightened up, and looked at him ... and Harry, his arms shaking madly now, looked back into the ghostly face of his mother.
"Your father’s coming ..." she said quietly. "Hold on for your father ... it will be all right ... hold on. ..."
And he came ... first his head, then his body ... tall and untidy-haired like Harry, the smoky, shadowy form of James Potter blossomed from the end of Voldemort’s wand, fell to the ground, and straightened like his wife. He walked close to Harry, looking down at him, and he spoke in the same distant, echoing voice as the others, but quietly, so that Voldemort, his face now livid with fear as his victims prowled around him, could not hear. ...
"When the connection is broken, we will linger for only moments ... but we will give you time ... you must get to the Portkey, it will return you to Hogwarts ... do you understand, Harry?"
- Goblet of Fire, chapter 34

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What Harry saw at the graveyard were not their souls, those were more like memories of the lives that Voldemort took with his wand. Their souls were most probably long gone by the time, as surely they were not stored inside the wand for this whole time.

"Which means," said Dumbledore slowly, his eyes upon Harry's face, "that some form of Cedric must have reappeared."...

..."No spell can reawaken the dead," said Dumbledore heavily. "All that would have happened is a kind of reverse echo. A shadow of the living Cedric would have emerged from the wand... am I correct, Harry?"

"He spoke to me," Harry said. He was suddenly shaking again. "The... the ghost Cedric, or whatever he was, spoke."

"An echo," said Dumbledore, "which retained Cedric's appearance and character."

So Dumbledore specifically said that those were not souls (as, thanks to Professor Snape, we firmly know that ghosts are souls by definition). I imagine it was something similar to the paintings of people - they look and act like the real person, but do not contain any part of the person's soul and basically do not hold any connection to the real person.

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    So, they're P-zombies? – wizzwizz4 Dec 7 '20 at 7:05
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    @wizzwizz4 Thankfully, not the link that I was expecting. – J. Mini Dec 7 '20 at 19:57
  • "thanks to Professor Snape"? Could you give a citation? – Ruslan Dec 7 '20 at 20:39
  • @Ruslan HBP chapter 21. – J. Mini Dec 7 '20 at 21:38
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    @J.Mini this seems to contradict the answer then: "A ghost, as I trust that you are all aware by now, is the imprint of a departed soul left upon the earth". This doesn't make it the soul itself—just an imprint of it. – Ruslan Dec 7 '20 at 22:21

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